Soften cream cheese in a mixing bowl. Stir in granulated sugar, cinnamon, and nutmeg to create a smooth filling.

Peel and slice apples. Sauté in skillet over medium heat with sugar, cinnamon, and nutmeg for 5-7 minutes until tender.

Roll out puff pastry into a large rectangle on a lightly floured surface. Make diagonal cuts along each side, leaving a 3-inch center section for filling.

Spoon cream cheese mixture into center, followed by sautéed apples. Fold one pastry strip from each side over filling, alternating sides to braid.

Transfer braided Danish to a baking sheet lined with parchment paper. Preheat oven to 375°F (190°C) and chill braid for 15 minutes.

Bake for 25-30 minutes until puffed and golden brown. Let cool for 10 minutes then drizzle with caramel sauce before serving.